AssetCorr

Estimating Asset Correlations from Default Data

Functions for the estimation of intra- and inter-cohort correlations in the Vasicek credit portfolio model. For intra-cohort correlations, the package covers the two method of moments estimators of Gordy (2000) <doi:10.1016/S0378-4266(99)00054-0>, the method of moments estimator of Lucas (1995) <http://jfi.iijournals.com/content/4/4/76> and a Binomial approximation extension of this approach. Moreover, the maximum likelihood estimators of Gordy and Heitfield (2010) <http://elsa.berkeley.edu/~mcfadden/e242_f03/heitfield.pdf> and Duellmann and Gehde-Trapp (2004) <http://hdl.handle.net/10419/19729> are implemented. For inter-cohort correlations, the method of moments estimator of Bluhm and Overbeck (2003) <doi:10.1007/978-3-642-59365-9_2>/Bams et al. (2016) <https://ssrn.com/abstract=2676595> is provided and the maximum likelihood estimators comprise the approaches of Gordy and Heitfield (2010)/Kalkbrener and Onwunta (2010) <ISBN: 978-1906348250> and Pfeuffer et al. (2018). Bootstrap and Jackknife procedures for bias correction are included as well as the method of moments estimator of Frei and Wunsch (2018) <doi:10.21314/JCR.2017.231> for auto-correlated time series.

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Description file content

Package
AssetCorr
Type
Package
Title
Estimating Asset Correlations from Default Data
Version
1.0.3
Date
2018-08-29
Author
Maximilian Nagl [aut,cre], Yevhen Havrylenko [aut], Marius Pfeuffer [aut], Kevin Jakob [aut], Matthias Fischer [aut], Daniel Roesch [aut]
Maintainer
Maximilian Nagl
Description
Functions for the estimation of intra- and inter-cohort correlations in the Vasicek credit portfolio model. For intra-cohort correlations, the package covers the two method of moments estimators of Gordy (2000) , the method of moments estimator of Lucas (1995) and a Binomial approximation extension of this approach. Moreover, the maximum likelihood estimators of Gordy and Heitfield (2010) and Duellmann and Gehde-Trapp (2004) are implemented. For inter-cohort correlations, the method of moments estimator of Bluhm and Overbeck (2003) /Bams et al. (2016) is provided and the maximum likelihood estimators comprise the approaches of Gordy and Heitfield (2010)/Kalkbrener and Onwunta (2010) and Pfeuffer et al. (2018). Bootstrap and Jackknife procedures for bias correction are included as well as the method of moments estimator of Frei and Wunsch (2018) for auto-correlated time series.
VignetteBuilder
knitr
License
GPL-3
Imports
VineCopula, mvtnorm, boot, numDeriv, mvQuad, ggplot2, Rdpack
Suggests
knitr
RdMacros
Rdpack
NeedsCompilation
no
Packaged
2018-08-30 07:25:30 UTC; LocalAdmin
Repository
CRAN
Date/Publication
2018-08-30 07:57:22 UTC

install.packages('AssetCorr')

1.0.3

2 months ago

Maximilian Nagl

GPL-3

Imports

VineCopula, mvtnorm, boot, numDeriv, mvQuad, ggplot2, Rdpack

Suggests

knitr

Discussions